Sep 25, 2017 term paper 2

BUILD A STOCHASTIC VOLATILITY MODEL FOR THE DAILY LOG RETURN OF CISCO SYSTEMS STOCK FROM JANUARY…

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Build a stochastic volatility model for the daily log return of Cisco Systems stock from January 1991 to December 1999. You may download the data from the CRSP database or the file d-csco9199.txt. Use the model to obtain a predictive distribution for 1-step ahead volatility forecast at the forecast origin December 1999. Finally, use the predictive distribution to compute the value at risk of a long position worth $1 million with probability 0.01 for the next trading day.


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